文章基本信息

标题：Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies
本地全文：下载
作者：Sanjay Sehgal ; Piyush Pandey ; Sakshi Saini 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2018
卷号：08
期号：11
页码：2416-2443
DOI：10.4236/tel.2018.811157
语种：English
出版社：Scientific Research Publishing
摘要：We investigate the extent of financial integration in both short and long term government debt markets of five South Asian economies from January 2004 to May 2016. We employ copula functions and find weak dependencies in their short and long term debt markets. We supplement our analysis using Diebold and Yilmaz spillover index and find low level of return spillover across both short and long term debt markets, thereby reconfirming low level of financial integration in the debt markets of the region. Linkages between short and long term debt markets are also weak suggesting underdeveloped nature of these markets.
关键词：Short Term Debt Market Integration;Long Term Debt Market Integration;South Asia;Time Varying Copula;Diebold and Yilmaz